How can I merge hundreds of Excel spreadsheet files?

That is a mighty request you have, but I had an evening to burn so here is some code that I think will work. (Not knowing the formats of your sheets doesn't help, but we can work from this.)

Open a new workbook (this will be your master workbook), go to the VBA environment (Alt + F11) and create a new module (Insert > Module). Paste the following VBA code into the new module window:

Option Explicit
Const NUMBER_OF_SHEETS = 4

Public Sub GiantMerge()
    Dim externWorkbookFilepath As Variant
    Dim externWorkbook As Workbook
    Dim i As Long
    Dim mainLastEnd(1 To NUMBER_OF_SHEETS) As Range
    Dim mainCurEnd As Range

    Application.ScreenUpdating = False

    ' Initialise

    ' Correct number of sheets
    Application.DisplayAlerts = False
    If ThisWorkbook.Sheets.Count < NUMBER_OF_SHEETS Then
        ThisWorkbook.Sheets.Add Count:=NUMBER_OF_SHEETS - ThisWorkbook.Sheets.Count
    ElseIf ThisWorkbook.Sheets.Count > NUMBER_OF_SHEETS Then
        For i = ThisWorkbook.Sheets.Count To NUMBER_OF_SHEETS + 1 Step -1
            ThisWorkbook.Sheets(i).Delete
        Next i
    End If
    Application.DisplayAlerts = True

    For i = 1 To NUMBER_OF_SHEETS
        Set mainLastEnd(i) = GetTrueEnd(ThisWorkbook.Sheets(i))
    Next i


    ' Load the data
    For Each externWorkbookFilepath In GetWorkbooks()
        Set externWorkbook = Application.Workbooks.Open(externWorkbookFilepath, , True)

        For i = 1 To NUMBER_OF_SHEETS

            If mainLastEnd(i).Row > 1 Then
                ' There is data in the sheet

                ' Copy new data (skip headings)
                externWorkbook.Sheets(i).Range("A2:" & GetTrueEnd(externWorkbook.Sheets(i)).Address).Copy ThisWorkbook.Sheets(i).Cells(mainLastEnd(i).Row + 1, 1)

                ' Find the end column and row
                Set mainCurEnd = GetTrueEnd(ThisWorkbook.Sheets(i))
            Else
                ' No nata in sheet yet (prob very first run)

                ' Get correct sheet name from first file we check
                ThisWorkbook.Sheets(i).Name = externWorkbook.Sheets(i).Name

                ' Copy new data (with headings)
                externWorkbook.Sheets(i).Range("A1:" & GetTrueEnd(externWorkbook.Sheets(i)).Address).Copy ThisWorkbook.Sheets(i).Cells(mainLastEnd(i).Row, 1)

                ' Find the end column and row
                Set mainCurEnd = GetTrueEnd(ThisWorkbook.Sheets(i)).Offset(, 1)

                ' Add file name heading
                ThisWorkbook.Sheets(i).Cells(1, mainCurEnd.Column).Value = "File Name"
            End If

            ' Add file name into extra column
            ThisWorkbook.Sheets(i).Range(ThisWorkbook.Sheets(i).Cells(mainLastEnd(i).Row + 1, mainCurEnd.Column), mainCurEnd).Value = externWorkbook.Name

            Set mainLastEnd(i) = mainCurEnd
        Next i

        externWorkbook.Close
    Next externWorkbookFilepath

    Application.ScreenUpdating = True
End Sub

' Returns a collection of file paths, or an empty collection if the user selects cancel
Private Function GetWorkbooks() As Collection
    Dim fileNames As Variant
    Dim xlFile As Variant

    Set GetWorkbooks = New Collection

    fileNames = Application.GetOpenFilename(Title:="Please choose the files to merge", _
                                               FileFilter:="Excel Files, *.xls;*.xlsx", _
                                               MultiSelect:=True)
    If TypeName(fileNames) = "Variant()" Then
        For Each xlFile In fileNames
            GetWorkbooks.Add xlFile
        Next xlFile
    End If
End Function

' Finds the true end of the table (excluding unused columns/rows and rows filled with 0's)
Private Function GetTrueEnd(ws As Worksheet) As Range
    Dim lastRow As Long
    Dim lastCol As Long
    Dim r As Long
    Dim c As Long

    On Error Resume Next
    lastCol = ws.UsedRange.Find("*", , , xlPart, xlByColumns, xlPrevious).Column
    lastRow = ws.UsedRange.Find("*", , , xlPart, xlByRows, xlPrevious).Row
    On Error GoTo 0

    If lastCol <> 0 And lastRow <> 0 Then

        ' look back through the last rows of the table, looking for a non-zero value
        For r = lastRow To 1 Step -1
            For c = 1 To lastCol
                If ws.Cells(r, c).Text <> "" Then
                    If ws.Cells(r, c).Text <> 0 Then
                        Set GetTrueEnd = ws.Cells(r, lastCol)
                        Exit Function
                    End If
                End If
            Next c
        Next r
    End If

    Set GetTrueEnd = ws.Cells(1, 1)
End Function

Save it, and we're ready to start using it.

Run the macro GiantMerge. You have to select the excel files you want to merge (you can select multiple files with the dialogue box, in the usual windows way (Ctrl to select multiple individual files, Shift to select a range of files)). You don't have to run the macro on all the files you want to merge, you can do it on just a few at a time. The first time you run it, it will configure your master workbook to have the correct number of sheets, name the sheets based on the first workbook you selected to merge, and add in the headings.

I've made the following assumptions (not a complete list):

• There are 4 sheets (This can be easily changed by changing the constant at the top of the code.)
• The sheets are in the same order in all the extra workbooks
• The columns in each sheet are in the same order in all workbooks (though not all sheets in a work book will have the same columns. e.g. WorkBook1, Sheet1 has columns A, B, C, Sheet2 has columns A, B; WorkBook2, Sheet1 has columns A, B, C, Sheet2 has columns A, B. Etc. If a workbook has the following: Sheet1 has columns A, C, B, Sheet2 has columns B, A then the columns will not be aligned correctly)
• There are no extra or missing columns in the extra workbooks
• There is a heading row in every sheet in each workbook (and it is in the first row on each sheet only)
• All columns should be included (even if they only contain 0's)
• All rows at the end of a table containing only 0's are not copied to the master
• It is only the file name (and not file path) that you need in the extra column
• I don't know how well it'll work if you don't have any data in some of the sheets (or they're just filled with zeros)

Hope this helps.

It's also worth mentioning that Ron de Bruin has created a fabulous Windows plugin for merging Excel worksheets, called RDBMerge. Instructions can be found here: http://www.rondebruin.nl/merge.htm. It worked flawlessly for me, merging xlsx files in Excel 2007.

It does create an extra column in the merged file containing the name of the source file. Not sure how it handles zero data entries (second part of original question), though.